Tue, September 09, 2008
09:30-10:20	Wim Schoutens	Jump Driven Prepayment and Default Models for LCDS, ABS and portfolios of LCDSs
10:20-10:50	Break
10:50-11:40	Ralf Korn	Optimal leverage strategies for a CDPO
11:40-15:00	Lunch Break
15:00-15:50	Thaleia Zariphopoulou	Portfolio choice under space-time monotone performance criteria
15:50-16:20	Break
16:20-17:10	Manfred Deistler	Generalized linear dynamic factor models - a structure theory
Wed, September 10, 2008
09:30-10:20	Jean-Pierre Fouque	Multiname and Multiscale Default Modeling
10:20-10:50	Break
10:50-11:40	Claudia Klüppelberg	Operational Risk and Pareto Levy copulas
11:40-12:10	Break
12:10-13:00	Xunyu Zhou	A Universal Portfolio Choice Model in Continuous Time
Thu, September 11, 2008
09:30-10:20	Damir Filipovic	Dynamic CDO Term Structure Modelling
10:20-10:50	Break
10:50-11:40	Huyên Pham	A problem of optimal portfolio/consumption choice in a liquidity risk model with random trading times
11:40-15:00	Lunch Break
15:00-15:50	Jozef Teugels	Change point analysis of extreme values
15:50-16:20	Break
16:20-17:10	Peter Laurence	Sabr stochastic volatility models and asymptotic methods
Fri, September 12, 2008
09:30-10:20	Christoph Reisinger	Modeling and Pricing of Oil Derivatives in an Incomplete Market
10:20-10:50	Break
10:50-11:40	Dirk Becherer	Optimal portfolio liquidation in illiquid markets with finite resiliency

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